CAViar : conditional value at risk by quantile regression

Bibliographische Detailangaben
1. Verfasser:	Engle, Robert F.
Weitere Verfasser:	Manganelli, Simone
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge National Bureau of Economic Research 1999.
Schriftenreihe:	NBER working paper series no.7341
Schlagworte:	Financial futures > Econometric models. Rate of returns > Forecasting > Econometric models. Parameter estimation. Stock price forecsating > Econometric models.